12 citations · 12 across the 2 of their papers we have counts for
2 papers
q-fin.TR2008★ 12 cited
Illiquidity and Derivative Valuation
Ulrich Horst, Felix Naujokat
In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical frame…
cs.CE2007
Risk Minimization and Optimal Derivative Design in a Principal Agent Game
U. Horst, S. Moreno
We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arisi…